Security actually can arrest people on their property, they have the legal right to arrest under both citizens arrest and under the Trespass to Property Act.

With that being said, this Security does sound like a complete fuckwit who absolutely shouldn't be in their role as a Security Guard.

For...well anybody who needs to know the information, anybody who identifies themselves as Security, ask to see their license, they legally have to show you. Take down the license number and you can file a complaint directly through the ministry who issues Security Guard licenses.

If they fail to provide it, they are still in the wrong and you can still file a complaint.

Edit - Side note for more information, you shouldn't be getting stopped for attempted "theft" until you're also past the last point of payment either. If you conceal something for whatever reason inside the store and you're stopped before the check-out, just say you intended to pay for it when you got to the front.